This paper assesses the impact of the Black Sea Grain Initiative on the grain futures market. We rely on counterfactual … evaluation techniques and detailed futures price series to estimate how corn and wheat futures prices and historical volatility … anticipated the impact of the Black Sea Grain Initiative. This anticipation is evident from the declining trend in grain futures …

Using daily returns on 34 futures contracts over the 2010-2022 period, we examine the factors driving these returns. We …, 2) metals and oil and 3) precious metals. The three groupings have distinct drivers that determine the commodity futures … an out-of-sample setting, our strategy delivers positive Sharpe ratios on 26 out 34 commodity futures contracts and …

spot index tends to be lagging its own futures, while the vector autoregression’s error correction mechanism reveals a …